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fdzh · 2023年10月15日

题目中并未提到用continuous conpounding，请问怎样判断是用discrete还是continuous。

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000160

问题如下：

Consider a $1 million notional swap that pays a floating rate based on 6-month LIBOR and receives a 6% fixed rate semiannually. The swap has a remaining life of 15 months with pay dates at 3, 9 and 15 months. Spot LIBOR rates are as following: 3 months at 5.4%; 9 months at 5.6%; and 15 months at 5.8%. The LIBOR at the last payment date was 5.0%. Calculate the value of the swap to the fixed-rate receiver using the bond methodology.

选项：

A.

$6,077

B.

-$6,077

C.

-$5,077

D.

$5,077

解释：


题目中并未提到用continuous conpounding，请问怎样判断是用discrete还是continuous。

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1 个答案

李坏_品职助教 · 2023年10月15日

嗨，爱思考的PZer你好：


期限很短的情况下（小于1年），离散复利与连续复利的结果是很接近的，不会影响做选择题。FRM考题是比较严谨的，要么是直接告诉你用哪种算法，要么就是选项的差异比较明显，复利方式不会导致你选错答案。


如果考试中题目没有明确要求，那么对于题目中包含了大于1年期的现金流的，就用连续复利。如果都是期限非常短，几个月的，那就离散复利。

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